心理还是实质:汶川地震对中国资本市场的影响

发布时间：2018-11-13 19:58

【摘要】：本文通过汶川地震这一独特自然事件,用公司与震中距离来衡量地震导致的投资者负面情绪(如焦虑和恐惧),研究汶川地震对中国资本市场造成的影响。与现有文献关于投资者情绪能够影响股票收益率的研究相一致,本文发现地震后12个月内(2008.6—2009.5),距离震中越近的公司,股票收益率越低。在控制了风险因素后,震中500公里以内的股票收益率显著为负,平均为每月-3%左右,而500公里以外的股票收益率不显著。并且公司与震中距离每增加1000公里,其年收益率平均升高3%。进一步分析发现,该现象地震前不存在,与系统风险的变化无关,并且不能由地震造成的实质经济损失来解释。总之,本文的研究表明汶川地震导致的投资者负面情绪能够影响股票收益率。
[Abstract]:Based on the unique natural event of Wenchuan earthquake, this paper uses the distance between company and epicenter to measure the negative investor sentiment (such as anxiety and fear) caused by the earthquake, and studies the impact of Wenchuan earthquake on China's capital market. In accordance with the research on investor sentiment influencing stock yield, it is found that within 12 months after the earthquake (2008.6-2009.5), the lower the stock yield is, the closer the company is to the epicenter. After controlling for risk factors, stock returns within 500km of the epicenter were significantly negative, averaging around -3 percent per month, while those over 500km were not significant. And for every 1000 km increase between the company and the epicenter, its annual yield rises by an average of 3. Further analysis shows that this phenomenon does not exist before the earthquake and has nothing to do with the change of the system risk and cannot be explained by the real economic loss caused by the earthquake. In a word, the research of this paper shows that the negative sentiment of investors caused by Wenchuan earthquake can affect the stock yield.
【作者单位】：西南财经大学经济管理研究院;
【基金】：西南财经大学“211工程”三期建设项目西南财经大学“211工程”三期青年教师成长项目(211QN09017)资助
【分类号】：F832.51

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